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Econometrics 2019, 7(1), 2; https://doi.org/10.3390/econometrics7010002

Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models

Department of Economics, University of Copenhagen, ∅ster Farimagsgade 5, building 26, DK-1353 Copenhagen K, Denmark
Received: 18 September 2018 / Revised: 29 October 2018 / Accepted: 8 January 2019 / Published: 10 January 2019
(This article belongs to the Special Issue Celebrated Econometricians: Katarina Juselius and Søren Johansen)
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Abstract

A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model. Conditions for weak exogeneity for the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by two simple examples of relevance for modelling causal graphs. View Full-Text
Keywords: adjustment coefficients; cointegrating coefficients; CVAR; causal models adjustment coefficients; cointegrating coefficients; CVAR; causal models
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
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Johansen, S. Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models. Econometrics 2019, 7, 2.

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